Construction of a Martingale with Given Absolute Value

M. T. Barlow

doi:10.1214/aop/1176994473

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April, 1981 Construction of a Martingale with Given Absolute Value

M. T. Barlow

Ann. Probab. 9(2): 314-320 (April, 1981). DOI: 10.1214/aop/1176994473

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Abstract

Let $Y$ be a nonnegative submartingale. A martingale $M$ is constructed on an enlarged space, with the property that $Y = |M|$.

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M. T. Barlow. "Construction of a Martingale with Given Absolute Value." Ann. Probab. 9 (2) 314 - 320, April, 1981. https://doi.org/10.1214/aop/1176994473